Commodities and commodity derivatives

Tags: Commodity Derivatives, stochastic modeling, Commodity Finance Centre University of London & ESCP Europe, Bloomberg Commodity, Member of the Board, University of Lugano PhD Programme Commodities, Wiley Finance, A. Eydeland, Electricity Markets, Geman Risk Management, Commodities, K. Wolyniec Energy & Power Risk Management, Investing in Commodities, structured notes, Rare earths, Asian Options, Commodity Futures, Commodity Spot Prices, forward curves, Shipping Markets, Crush Spread Options, discussion, Natural Gas, Swing Options, Electricity, Agricultural Markets
Content: University of Lugano PhD Programme Commodities and Commodity Derivatives Helyette Geman Director, Commodity Finance Centre University of London & ESCP Europe Member of the Board of the UBS ­ Bloomberg Commodity Index
General goals The tentative aims of the course are the following: - learn the fundamental economic results, e.g., theory of storage, established on commodities since Keynes and Kaldor - recognize the properties of energy, metals, agriculturals and Shipping - discuss the forward curve and its stochastic modeling, with or without seasonality - discuss the pricing and hedging of options mostly traded in commodity markets, as well as the valuation of physical assets
Course Contents
Session 1
О Commodities as a New Asset Class О Commodities as a Multi- Asset Class: Agriculturals, Metals and Energy О Shipping, Shipping Indexes and Freight Derivatives О Supply, Demand and Commodity Spot Price formation О Inventory and Spot price Volatility: evidence from Metals and Agriculturals О Forwards and Futures as linear Derivatives; similarities and differences.
Session 2
О Theory of Storage (Keynes, Working), Convenience Yield and Commodity Forward Curves О Base Metals: Copper, aluminum, tin, lead, zinc and nickel О The London Metal Exchange and delivery rules О precious metals: silver, platinum, palladium О The London Bullion Market and the particular role of gold as a numйraire currency О Coal as a key commodity in the US, China, India, Australia О natural gas markets: contrasting the case of the US and the UK О Oil and Oil Refined Products О Stochastic Modeling of the Forward Curve: the example of Crude Oil
Session 3 models
О More on Metals: Uranium, Rare earths. О Electricity as a non- storable commodity; discussion of some О Agriculturals and the unique difficulties of their forward curves О Options on Commodity Spot Prices О Options on Commodity Futures О Crush Spread Options in Agricultural Markets; Sparkspreads and Crackspreads in energy markets
Section 4 О Asian Options in Oil and Shipping Markets: the Valuation and Hedging Challenges О Swing Options in Electricity, Natural Gas and Shipping О Valuation of Physical Assets in the world of Commodities: Real Options versus Project Finance О Investing in Commodities: from Futures to ETFs and structured notes О The challenges in building and managing a commodity index
Section 5 Review of some founding papers on Commodities by the students Discussion Bibliography A. Eydeland and K. Wolyniec Energy & Power risk management. Wiley Finance 2002 C. Harris Electricity Markets: Pricing Structures and the Economics. Wiley Finance, 2006 H.Geman Commodities and Commodity Derivatives: Energy, Agriculturals and Shipping. Wiley Finance, 2005 H. Geman Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy; Wiley Finance, 2008 research papers

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